You can also put it in the /usr/bin or /usr/sbin directory and to add on that,
you can also do some shell command linking. On the netgh0st site i saw a
little tiny guide to do that.
But can't you just right click the shell file, then choose which program to use,
then choose /bin/sh as the program it should usually start? That's what i would
think of when we're talking about using your GUI to start shell files.